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subject:"Share price"
subject:"Stock index"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"Oxford bulletin of economics and statistics"
~person:"Andersen, Torben"
~person:"Bollerslev, Tim"
~person:"Bresson, Georges"
~person:"Lütkepohl, Helmut"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Theory
Estimation
22
Schätzung
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Volatility
14
Volatilität
14
Time series analysis
11
Zeitreihenanalyse
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Andersen, Torben
Bollerslev, Tim
Bresson, Georges
Lütkepohl, Helmut
Todorov, Viktor
12
Tauchen, George Eugene
10
Li, Jia
7
Ghysels, Eric
5
Kim, Donggyu
5
Koop, Gary
5
Serletis, Apostolos
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Aït-Sahalia, Yacine
4
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4
Gallant, A. Ronald
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4
Pesaran, M. Hashem
4
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4
Diebold, Francis X.
3
Ericsson, Neil R.
3
Fleissig, Adrian R.
3
Frühwirth-Schnatter, Sylvia
3
Galvão Júnior, Antônio Fialho
3
Harvey, Andrew C.
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Hong, Yongmiao
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Phillips, Peter C. B.
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Rahbek, Anders
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Ravazzolo, Francesco
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Tse, Yiu Kuen
3
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3
Xu, Libo
3
Afonso, Oscar
2
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2
Asai, Manabu
2
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Macroeconomic dynamics
Oxford bulletin of economics and statistics
CREATES research paper
5
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
Working paper / National Bureau of Economic Research, Inc.
4
ERID working paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of economic dynamics & control
3
Journal of financial economics
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The journal of finance : the journal of the American Finance Association
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
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1
Cahier / Départment de Sciences Économiques, Université de Montréal
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Economic Research Initiatives at Duke (ERID) Working Paper
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Economics letters
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Journal of financial econometrics
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Journal of financial markets
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Journal of international money and finance
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Journal of urban economics
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Nonparametric dynamic modelling
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Quantitative economics : QE ; journal of the Econometric Society
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ECONIS (ZBW)
15
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
4
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
5
Choosing between different time-varying volatility models for structural vector autoregressive analysis
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Oxford bulletin of economics and statistics
80
(
2018
)
4
,
pp. 715-735
Persistent link: https://www.econbiz.de/10011969506
Saved in:
6
How important is innovation? : a bayesian factor-augmented productivity model based on panel data
Bresson, Georges
;
Etienne, Jean-Michel
;
Mohnen, Pierre A.
- In:
Macroeconomic dynamics
20
(
2016
)
8
,
pp. 1987-2009
Persistent link: https://www.econbiz.de/10011685298
Saved in:
7
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
8
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
9
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
10
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
Saved in:
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